HSBC plans autocallable step-up notes linked to MSCI Emerging Markets

By Angela McDaniels

Tacoma, Wash., Oct. 25 – HSBC USA Inc. plans to price 0% autocallable market-linked step-up notes due November 2022 linked to the MSCI Emerging Markets index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par of $10 plus a call premium if the index closes at or above the initial index level on either annual observation date. The call premium is expected to be 10.5% to 11.5% per year and will be set at pricing.

If the notes are not called and the final index level is greater than the step-up value, 131% of the initial index level, the payout at maturity will be par plus the index return.

If the final index level is greater than or equal to the initial index level but less than or equal to the step-up value, the payout will be par plus the step-up payment, 30%.

If the final index level is less than the initial index level, investors will have one-to-one exposure to the decline.

BofA Securities Inc. is the agent.

The notes will price in November and settle in December.

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